It is well known that for continuous time models with a linear drift standard estimation methods yield biased estimators for the mean reversion parameter both in finite discrete samples and in large in-fill samples. In this paper, we obtain two expressions to approximate the bias of the least squares/maximum likelihood estimator of the mean reversion parameter in the Ornstein–Uhlenbeck process ...

It is well known that for continuous time models with a linear drift standard estimation methods yield biased estimators for the mean reversion parameter both in …nite discrete samples and in large in-…ll samples. In this paper, we obtain two expressions to approximate the bias of the least squares/maximum likelihood estimator of the mean reversion parameter in the Ornstein-Uhlenbeck process wi...

A class of photoacoustic acquisition geometries in n is considered such that the spherical mean transform admits an exact filtered back projection reconstruction formula. The reconstruction is interpreted as a time reversion mirror that reproduces exactly an arbitrary source distribution in the cavity. A series of examples of non-uniqueness of the inverse potential problem is constructed based ...

An overview of some statistical concepts using simple time series models: Stationarity, mean reversion, autocorrelation, impulse responses, autoregressive processes, stability. A section on simulating white noise, random walk, autoregressive processes comments on results in …le Simple_simul.xls. Lack of stationarity is illustrated, and impulse response functions are computed for processes with ...

We study the Narayana triangles and related families of polynomials. We link this study to Riordan arrays and Hankel transforms arising from a special case of capacity calculation related to MIMO communication systems. A link is established between a channel capacity calculation and a series reversion.

Machine Learning algorithms have a variety of important applications, and among them, Recommender systems are crucial. The internet hosts an extensive volume information, making it challenging for users to navigate find relevant content. therefore emerged as valuable tools bridge this gap. They facilitate the connection between content by offering personalized recommendations. In recent years r...

Bergeron had support from NSERC-Canada and FCAR-Qu ebec. We outline an approach for the computation of a good candidate for the generating function of a power series for which only the first few coefficients are known. More precisely, if the derivative, the logarithmic derivative, the reversion, or another transformation of a given power series (even with polynomial coefficients) appears to adm...

In this paper, we use a statistical arbitrage method in different developed and emerging countries to show that the profitability of strategy is based on degree market efficiency. We will our more profitable ones periods with greater uncertainty. Our consists Pairs Trading concept mean reversion by selecting pair series have lower Hurst exponent. also selection lowest exponent has sense, series...

I use parametric and semiparametric methods to test for the order of integration in stock market indexes. The results, which are based on the EOE (Amsterdam), DAX (Frankfurt), Hang Seng (Hong Kong), FTSE100 (London), S&P500 (New York), CAC40 (Paris), Singapore All Shares, and the Japanese Nikkei, show that in almost all of the series the unit root hypothesis cannot be rejected. The Hang Seng an...